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The dynamics of volatility connectedness in international real estate investment trusts

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  • Liow, Kim Hiang
  • Huang, Yuting

Abstract

Using a sample of ten real estate investment trusts (REITs) from July 2004 to June 2017, we find a less similar integration process is taking place in the global REIT markets. The local stock market is a major source of REITs’ volatility connectedness shocks in 80 percent of time. Moreover, the REITs’ volatility connectedness effects are crisis-sensitive and decline more quickly than stocks when the crises went off. Finally, we remind investors to pay attention to economic policy uncertainty, interest rate movements, implied volatility and world stock market returns on REITs’ volatility connectivity over time.

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  • Liow, Kim Hiang & Huang, Yuting, 2018. "The dynamics of volatility connectedness in international real estate investment trusts," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 55(C), pages 195-210.
    • Handle: RePEc:eee:intfin:v:55:y:2018:i:c:p:195-210
    DOI: 10.1016/j.intfin.2018.02.003
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    8. Fasanya, Ismail O. & Oyewole, Oluwatomisin J., 2023. "On the connection between international REITs and oil markets: The role of economic policy uncertainty," Resources Policy, Elsevier, vol. 81(C).
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